Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/5076
Title: A Markov regime switching approach to estimating the volatility of Johannesburg Stock Exchange (JSE) returns
Authors: Oseifuah, Emmanuel K.
Korkpoe, Carl H.
Keywords: Bayesian methodology
Equity markets
Johannesburg Stock Exchange
Markov chain Monte Carlo simulation
Markov regime switching
Issue Date: 2019
Publisher: University of Cape Coast
Abstract: The study used the Markov regime switching model to investigate the presence of regimes in the volatility dynamics of the returns of JSE All-Share Index (ALSI). Volatility regimes are as a result of sudden changes in the underlying economy generating the market returns. In all, twelve candidate models were fitted to the data. Estimates from the regime switching model were compared to the industry standard non-switching GARCH (1,1) using the Deviance Information Criteria (DIC). The results show that the two-regime switching EGARCH model with skewed Student t innovations describes better the return of the JSE Index. Additionally, we back test the model results in order to confirm our findings that the two-regime switching EGARCH is the best of the models for the sample period.
Description: 11p;ill
URI: http://hdl.handle.net/123456789/5076
ISSN: 1465-8974
Appears in Collections:Department of Accounting & Finance

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